cyb50-quant/research/dragon/v2/dragon_robustness_report.md

Dragon Robustness Report

Baseline

• trades: 107
• win_rate: 44.86%
• avg_return: 2.52%
• median_return: -0.60%
• profit_factor: 3.31
• avg_mfe: 6.66%
• avg_mae: -2.66%
• avg_exit_followthrough_5d: -2.95%

Holding-Bucket View

• 00-05d: trades 30, win_rate 0.00%, avg_return -2.03%, avg_mfe 0.95%, avg_mae -2.61%
• 06-10d: trades 35, win_rate 34.29%, avg_return -0.81%, avg_mfe 3.01%, avg_mae -2.94%
• 11-20d: trades 21, win_rate 80.95%, avg_return 1.45%, avg_mfe 4.36%, avg_mae -2.01%
• 21-40d: trades 10, win_rate 80.00%, avg_return 6.33%, avg_mfe 10.18%, avg_mae -3.36%
• 41d+: trades 11, win_rate 100.00%, avg_return 24.13%, avg_mfe 35.03%, avg_mae -2.56%

Yearly View

• 2016: trades 13, win_rate 46.15%, avg_return 1.15%, profit_factor 2.25
• 2017: trades 11, win_rate 27.27%, avg_return -0.42%, profit_factor 0.67
• 2018: trades 16, win_rate 37.50%, avg_return 0.05%, profit_factor 1.05
• 2019: trades 10, win_rate 40.00%, avg_return 3.12%, profit_factor 3.24
• 2020: trades 6, win_rate 66.67%, avg_return 11.16%, profit_factor 23.56
• 2021: trades 9, win_rate 66.67%, avg_return 5.35%, profit_factor 13.29
• 2022: trades 11, win_rate 45.45%, avg_return 0.78%, profit_factor 1.46
• 2023: trades 12, win_rate 50.00%, avg_return 1.36%, profit_factor 3.10
• 2024: trades 12, win_rate 33.33%, avg_return 3.26%, profit_factor 2.92
• 2025: trades 6, win_rate 66.67%, avg_return 8.42%, profit_factor 11.92
• 2026: trades 1, win_rate 0.00%, avg_return -1.97%, profit_factor 0.00

Sample Split

• 2016-2020: trades 56, win_rate 41.07%, avg_return 1.95%, profit_factor 2.83
• 2021-2025: trades 51, win_rate 49.02%, avg_return 3.15%, profit_factor 3.81

Regime View

• mid_regime: trades 55, avg_return 3.49%, profit_factor 4.31, avg_mae -2.29%
• low_oversold_regime: trades 32, avg_return 0.35%, profit_factor 1.27, avg_mae -3.23%
• rebound_after_sell_regime: trades 8, avg_return 1.50%, profit_factor 2.44, avg_mae -2.47%
• crash_probe_regime: trades 6, avg_return 4.62%, profit_factor 10.52, avg_mae -4.03%
• high_regime: trades 6, avg_return 4.49%, profit_factor 5.56, avg_mae -1.97%

Best Entry Rules

• early_crash_probe_buy: trades 6, avg_return 4.62%, win_rate 66.67%, avg_mfe 8.01%
• glued_buy: trades 61, avg_return 3.71%, win_rate 45.90%, avg_mfe 7.98%
• oversold_recovery_buy: trades 4, avg_return 3.35%, win_rate 50.00%, avg_mfe 7.72%

Weakest Entry Rules

• deep_oversold_rebound_buy:shallow_false_start: trades 3, avg_return -2.63%, win_rate 33.33%, avg_mae -3.52%
• deep_oversold_rebound_buy:mixed_oversold: trades 3, avg_return -1.80%, win_rate 33.33%, avg_mae -5.57%
• deep_oversold_rebound_buy:classic_oversold: trades 5, avg_return 0.04%, win_rate 60.00%, avg_mae -2.28%

Best Exit Rules

• prewarning_reduction_exit: trades 3, avg_exit_followthrough_5d -5.70%, avg_return 20.95%
• high_regime_confirmed_exit:kdj_sell: trades 4, avg_exit_followthrough_5d -4.51%, avg_return 13.32%
• negative_a1_no_b1_recovery:kdj_sell: trades 8, avg_exit_followthrough_5d -3.58%, avg_return -2.55%

Weakest Exit Rules

• ql_mid_zone_take_profit: trades 3, avg_exit_followthrough_5d -0.46%, avg_return -0.83%
• hard_exit:kdj_sell: trades 4, avg_exit_followthrough_5d -0.70%, avg_return -3.53%
• knife_take_profit_2_wait_ql_s: trades 5, avg_exit_followthrough_5d -1.48%, avg_return 1.92%

Realized Contribution Stress Test

• Interpretation: this removes realized trades by rule from the current trade set; it is not yet a full re-run stability test.
• Worst removals for average return:
• entry_rule / glued_buy: removed 61 trades, delta_avg_return -1.57%, delta_profit_factor -1.54
• exit_rule / crash_protection_exit: removed 2 trades, delta_avg_return -0.71%, delta_profit_factor -0.68
• exit_rule / prewarning_reduction_exit: removed 3 trades, delta_avg_return -0.53%, delta_profit_factor -0.54
• exit_rule / high_regime_confirmed_exit:kdj_sell: removed 4 trades, delta_avg_return -0.42%, delta_profit_factor -0.46
• exit_rule / predictive_b1_break_exit: removed 1 trades, delta_avg_return -0.32%, delta_profit_factor -0.32
• Best removals for average return:
• exit_rule / knife_take_profit_2_glued: removed 51 trades, delta_avg_return 2.72%, delta_profit_factor 2.36
• exit_rule / negative_a1_no_b1_recovery:kdj_sell: removed 8 trades, delta_avg_return 0.41%, delta_profit_factor 0.70
• entry_rule / dual_gold_resonance_buy: removed 14 trades, delta_avg_return 0.25%, delta_profit_factor 0.22
• exit_rule / hard_exit:kdj_sell: removed 4 trades, delta_avg_return 0.23%, delta_profit_factor 0.45
• entry_rule / deep_oversold_rebound_buy:shallow_false_start: removed 3 trades, delta_avg_return 0.15%, delta_profit_factor 0.24

Next Stage-3 Gaps

• Threshold perturbation is not yet formalized because the current strategy logic is still hard-coded, not parameterized.
• A true leave-one-rule-out stability test still needs rerun-able switches in dragon_strategy.py rather than ex-post trade deletion only.